Technically no. My first Final Fantasy was Mystic Quest but since that's not counted for the most part, that would make my first numerical Final Fantasy...either 7, 8 or, 4...possibly tactics advanced. I had those four around the same time but can't remember which came first (8 being the most likely). My favorites though for all the ones I've played are...
Final Fantasy IV*
Final Fantasy IX*
Final Fantasy VIII*
Final Fantasy X
Final Fantasy VI
Final Fantasy II*
Final Fantasy Adventure
Final Fantasy Mystic Quest*
Final Fantasy VII*
Final Fantasy Tactics Advance
Final Fantasy V
Final Fantasy Legends 2
Final Fantasy III
Final Fantasy XIII
* = Titles I've beaten
I've played demos for XII and XIII-2 so they can't really be counted here. Although I am really excited to play XII (Y U NO RAED PS2?!) and was completely underwhelmed by 13-2...but then based on my placement of 13...
4 is my favorite by far. I love the characters, the specific character arcs and, the overall story. It's also the one I've probably clocked the most time into (GBA and PSX. Need the SNES version though and, maybe famicom...). IX was my favorite on the PSX and I think it holds up today when it comes to the graphics. I loved the characters in this one as well even if they didn't all have the best arcs. The big seller for me though was the Chocobo mini-games which I loved to freaking death. Chocobo's Hot and Cold was a great way to get players to really explore the over-world. I also loved the cities of Reno and, Alexandria...they felt alive to me. FFVIII had my favorite leveling system. It allowed you to become a walking God if you allowed yourself to grind enough and while that may put some people off, I thought it was fan-tucking-fastic. I also really liked Quistis and am one of that special 1% who loved Selphie.